We propose and backtest a multivariate Value-at-Risk model for financial returns based on Tukey's g-and-h distribution …-and-h distributed residuals to three European stock indices and provide results of out-of-sample Value-at-Risk backtests. We find that …

of mathematical finance, we investigated the relationships between TDA's barcodes and traditional financial risk meaures … space used in the pricing of Europen call options. Every results support the effectiveness of TDA as risk measure … traditional risk measures …

Risk estimation or volatility estimation at financial markets, particularly stock exchange markets, is complex issue of … pricing of stocks and better risk management. The aim of this research is to test applicability of simple models like Simple … Moving Average (SMA) and Exponentially Weighted Moving Average (EWMA) to estimate risk. The performance of SMA and EWMA with …